Did the collapse of Silicon Valley Bank catalyze financial contagion?
Journal article
Akhtaruzzaman, Md, Boubaker, Sabri and Goodell, John W.. (2023). Did the collapse of Silicon Valley Bank catalyze financial contagion? Finance Research Letters. 56, pp. 1-11. https://doi.org/10.1016/j.frl.2023.104082
Authors | Akhtaruzzaman, Md, Boubaker, Sabri and Goodell, John W. |
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Abstract | We investigate whether the failure of Silicon Valley Bank catalyzed financial contagion in the G7 countries as well as Brazil, China, India, and South Africa. We compare four groupings: markets, banks, non-financial, and financial firms. Dynamic conditional correlation and Diebold Yilmaz spillover analyses show that contagion was pronounced within global banks but minor in other areas. The contagion was also short-lived, being most prevalent during the week following the failure of the Silicon Valley Bank. It is noteworthy that contagion following the largest US bank failure since 2008 was, beyond the banking sector, quite limited. |
Keywords | Silicon Valley Bank; financial contagion; spillovers; hedge ratios |
Year | 01 Jan 2023 |
Journal | Finance Research Letters |
Journal citation | 56, pp. 1-11 |
Publisher | Academic Press (Elsevier) |
ISSN | 1544-6123 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.frl.2023.104082 |
Web address (URL) | https://www.sciencedirect.com/science/article/pii/S1544612323004543?via%3Dihub |
Open access | Published as non-open access |
Research or scholarly | Research |
Page range | 1-11 |
Publisher's version | License All rights reserved File Access Level Controlled |
Output status | Published |
Publication dates | |
Online | 03 Jun 2023 |
Publication process dates | |
Accepted | 02 Jun 2023 |
Deposited | 12 Jun 2024 |
Supplemental file | License All rights reserved File Access Level Controlled |
Additional information | © 2023 Elsevier Inc. All rights reserved |
Place of publication | United States |
https://acuresearchbank.acu.edu.au/item/909q2/did-the-collapse-of-silicon-valley-bank-catalyze-financial-contagion
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